Information linkages between emission allowance and energy markets

Date

2016-09-01

Authors

Schultz, Emma
Swieringa, John

Journal Title

Journal ISSN

Volume Title

Publisher

Blackwell Publishing Ltd

Abstract

We employ a rational expectations framework similar to that proposed by Fleming et al. (1998) to examine the source, and nature of, information linkages between the emission allowance and energy markets as gauged by the correlation of return volatilities. Estimating the model for bivariate pairings of securities suggests that market linkages arise from sensitivities to common information rather than from indirect spillovers, with emission allowances most strongly linked to the crude oil market.

Description

Keywords

Information linkages, Volatility, Emission allowance markets, Energy markets

Citation

Source

Accounting and Finance

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

Restricted until

2037-12-31